Rational multi-curve models with counterparty-risk valuation adjustments
نویسندگان
چکیده
منابع مشابه
Counterparty Risk Valuation for Cds
The valuation of counterparty risk for single name credit derivatives requires the computation of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distributions. As an application, closed formulas for coun-terparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.
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Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases whe...
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We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option, both with zero strike and written on the residual net value of the contract...
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The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force “Monte-Carlo of Monte-Carlo” method (with nested simulations). This is achieved using marked branching diffusions describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the (bilateral) counterparty risk wh...
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Following the 2009 G20 clearing mandate, international standard setting bodies (SSBs) have outlined a set of principles for CCP risk management; they have also devised CCP risk capital requirements on clearing members for their central counterparty exposures. There is still no consensus among CCP regulators, bank regulators, and CCPs on how central counterparty risk should be measured coherentl...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2015
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2015.1095348